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Abstract

Optimal control for fully observed diffusion processes is well established and has led to numerous numerical implementations based on, for example, Bellman's principle, model free reinforcement learning, Pontryagin's maximum principle, and model predictive control. On the contrary, much fewer algorithms are available for optimal control of partially observed processes. However, this scenario is central to the digital twin paradigm where a physical twin is partially observed and control laws are derived based on a digital twin. In this paper, we contribute to this challenge by combining data assimilation in the form of the ensemble Kalman filter with the recently proposed McKean-Pontryagin approach to stochastic optimal control. We derive forward evolving mean-field evolution equations for states and co-states which simultaneously allow for an online assimilation of data as well as an online computation of control laws. The proposed methodology is therefore perfectly suited for real time applications of digital twins. We present numerical results for a controlled Lorenz-63 system and an inverted pendulum.